HEDGING AND IMMUNIZATION OF LONGEVITY RISK
|Increasing life expectancy rates are extending the liability profiles of annuity income providers. However, the challenge of devising asset allocation strategies to fund these liabilities is complicated by a lack of appropriate assets. This thesis demonstrates portfolio management strategies to address this challenge. Estelle Liu UNSW, CIFR / CMCRC Honours Scholarship Program 2014 Keywords: Annuity, risk